So, I am curious what is the best ES system that someone in the world trading at retail level has been able to devise???? My aim with this thread is to have 10-20 TOP ES systems together in one place. Thanks. Please post your BEST ES "system results". or the best systems you have seen on ES. The system need not be yours, its perfectly alright if you post system summary and results of someone's else system. Things like TS Summary or NT summary is what I am looking for. Systems that backtests well over a 5 year period at least.
No, not a joke. Futures truth used to have all these systems. However, these days there are other sources for good systems like Striker, Tradestation strategy trading network etc. I am just hoping some members will post the best systems they have seen. Why did I ask only about ES? Well, primarily because its the highest volume equity index contract and I have been trading it for last few years.
Over the last 5 years almost any ES EOD system that buys dips and takes profits 20 to 100 points higher will back test very well. Almost any mean reverting EOD system that only plays the long side will back test very well. I wouldn't want to use any such systems over the next 5 years.
Thanks and good points. We can look at systems with even longer history like 8-10 years. That is fine. However, I am not sure why continuing to use a buy the dip or a mean reverting long only ES system going forward will be a bad choice infact. With all this liquidity, ES could potentially reach 2500-3000 over the next 5 years. We are talking about 40% jump over the next 5 years. I guess its possible. My guess is that such a buy dip or mean reverting long only system would have performed exceptionally well throughout the 90s as well on SP big contract. Anyways, we are getting away from the topic. Lets hope we can get some good systems backtests on this thread.
I think he's bought into the whole "hero picking the top" cult mania that has pervaded all the Compuserve/AOL/Internet trading forums since the '80s...
If you're aware of Futurestruth, collective2, Striker, Tradestation and others... Why don't you post the BEST ES automated/mechanical systems Simply, do you or do you not have access to these resources and other resources involving automated/mechanical trading results ? My point, maybe the best way for you to get the ball rolling on this topic is for you to go first via posting what you've found that you consider to be the BEST ES automated/mechanical systems (seriously).
This isn't serious. Nobody is going to post this. There are a few places in the market where it is good value to take a directional position of 3-4000 lots or more, as a day trade, for $500 or more profit per contract. Any serious commentary would also get lost in the noise. What if I said there were a few very large directional traders who were buying the last hour of Thursday and the first 40 minutes of Friday in size, expecting the move we had? What if there was some way I knew this for a fact. What would it add to your trading? A 30 year veteran who sometimes posts here, who has been an exchange member for decades, assures me that if one has such a system, and scales up to a decent size, "the players will find you and shove money down your throat". About the time anyone is at that level, they would likely not want/need the extra money, as compounding to limits of available liquidity is not a slow process for this class of trader. Market liquidity will eventually restrict the position size which can be used, so the rare conditions when larger size can be traded become more important to exploit. I doubt there are more than a few dozen people worldwide who know where and why and how to do this. Maybe fewer. There is zero chance of any of them posting details on ET. There are plenty of strategies which can be used on ES in sizes of a few hundred to a thousand for a few ticks, but I interpret the question of "best" as meaning the opportunities to commit substantial capital for a good short term return, as opposed to making smaller (albeit very consistent) profits trading for ticks. But I wouldn't argue semantics...a fully automated system which can consistently earn the spread in small size is a "best" system also. "Trading at retail level" is misleading. Among the top players in this business will be self made independent traders. When you consider what is possible for those with understanding and capital but with few restrictions / handcuffs that come with working for an institution or managing OPM, it is logical that it will be this way. Think Paul Rotter and those at similar levels. There will be a few dozen world class individuals who will try to remain as anonymous as possible at that level. Better question is what is the "best" system which you are capable of devising / implementing. Perhaps surprisingly there are some top level folks in this business who read ET but seldom if ever post...so there is a chance that the holders of some of the best edges in the ES see this thread! Bottom line - do the best you can for yourself, don't trouble too much about what others are doing. They aren't going to tell you anyways
Actually if a model is optimized for just 2009 onward, most of the time they do not work at all before 2009, even in the prior 2 bull runs. We have 3 distinctly different bull runs since 1997-1998. So if you think the world will change again and like to use an "all terrain" model instead, you need the model to perform well for not just past 10 years but 15+ years. Before 1997, almost all models developed from that era are now "retired". =)
..I have a nice system,... saving it for the kids.. Do versatile systems exist, yep. Find when volume is the highest per move and the direction taken by the move. It will show you what the most number of players are doing. Or the fewest with the biggest pockets. The fewest with the biggest pockets will force the many with the smaller pockets to 'uncle', thats all trading is. Find the agenda of the fewest with the biggest pockets.